Research Article

Ensembling Variable Selectors by Stability Selection for the Cox Model

Algorithm 1

The stability selection algorithm for the Cox model.
: an response vector containing survival times for observations.
: an vector containing censoring indicators for observations.
: design matrix.
: regularization parameter set, i.e., .
: ensemble size.
: a pre-set threshold.
Output: an index set for selected variables.
Main process of stability selection
(1) For
(a) Randomly draw a subset of size
without replacement from . Here,
stands for the largest integer less than or equal
to .
(b) For each , run lasso on , and
record the set for selected variables as .
End For
(2) Estimate the probability of each variable being selected as
where , and is an indicator function,
when its condition is satisfied and otherwise.
(3) Select variables which satisfy , i.e. .